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Growth and volatility regime switching models for New Zealand GDP data
Buckle, Robert A; Haugh, David; Thomson, Peter - 2002
This paper fits hidden Markov switching models to New Zealand GDP data. A primary objective is to better understand the utility of these methods for modelling growth and volatility regimes present in the New Zealand data and their interaction. Properties of the models are developed together with...
Persistent link: https://www.econbiz.de/10012115495
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A boosted HP filter for business cycle analysis : evidence from New Zealand's small open economy
Hall, Vivian Bruce; Thomson, Peter J. - 2022
Persistent link: https://www.econbiz.de/10013478538
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Growth and volatility regime switching models for New Zealand GDP data
Buckle, Robert A; Haugh, David; Thomson, Peter - Treasury, Government of New Zealand - 2002
This paper fits hidden Markov switching models to New Zealand GDP data. A primary objective is to better understand the utility of these methods for modelling growth and volatility regimes present in the New Zealand data and their interaction. Properties of the models are developed together with...
Persistent link: https://www.econbiz.de/10005464963